Deterministic and stochastic optimal control

Optimal Rejection of Stochastic and Deterministic Disturbances

The problem of optimal ;}(zrejection of noisy disturbances while asymptotically rejecting constant or sinusoidal disturbances is considered. The internal model principle is used to ensure that the expected value of the output approaches zero asymptotically hi the presence of persistent detenninistic disturbances. Necessary conditions are gi.venfor dynamic output feedback controllers that minimi...

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran

Optimal Control Lecture 9 : Numerical Methods for Deterministic Optimal Control

Lecturer: Marin Kobilarov Consider the general setting where we are minimizing J = φ(x(t f), t f) + t f t 0 L(x(t), u(t), t)dt, (1) subject to: x(t 0) = x 0 , x(t f) and t f free (2) ˙ x(t) = f (x(t), u(t), t) (3) c(x(t), u(t), t) ≤ 0, for all t ∈ [t 0 , t f ] (4) ψ(x(t f), t f) ≤ 0, (5) We will consider three families of numerical methods for solving the optimal control problem: • dynamic prog...

Averaging and Deterministic Optimal Control 769

Averaging is often used in ordinary differential equations when dealing with fast periodic phenomena. It is shown here that it can be used efficiently in optimal control. As the period tends to zero, a limit or "averaged" problem is defined. The open loop optimal control of the limit problem induces a cost which is optimal up to the second order when evaluated through the original dynamics. The...

Deterministic and stochastic optimal inventory control with logistic stock-dependent demand rate

Abstract: It has been suggested by many supply chain practitioners that in certain cases inventory can have a stimulating effect on the demand. In mathematical terms this amounts to the demand being a function of the inventory level alone. In this work we propose a logistic growth model for the inventory dependent demand rate and solve first the continuous time deterministic optimal control pro...